Model averaging in a multiplicative heteroscedastic model

doi:10.1080/07474938.2020.1770995

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	Model averaging in a multiplicative heteroscedastic model
	Zhao, Shangwei 1; Ma, Yanyuan 2; Wan, Alan T. K.3; Zhang, Xinyu 4; Wang, Shouyang 4
	2020-06-03
发表期刊	ECONOMETRIC REVIEWS
ISSN	0747-4938
页码	25
摘要	In recent years, the body of literature on frequentist model averaging in econometrics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this article, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimization of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favorable properties compared with some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function mis-specification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two data sets on housing and economic growth.
关键词	Heteroscedasticity-robust model averaging multiplicative heteroscedasticity plug-in squared prediction risk
DOI	10.1080/07474938.2020.1770995
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11871294] ; City University of Hong Kong[7004985] ; Ministry of Education in China[17YJC910011]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000542771200001
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51697
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Xinyu
作者单位	1.Minzu Univ China, Sch Sci, Beijing, Peoples R China 2.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,et al. Model averaging in a multiplicative heteroscedastic model[J]. ECONOMETRIC REVIEWS,2020:25.
APA	Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,Zhang, Xinyu,&Wang, Shouyang.(2020).Model averaging in a multiplicative heteroscedastic model.ECONOMETRIC REVIEWS,25.
MLA	Zhao, Shangwei,et al."Model averaging in a multiplicative heteroscedastic model".ECONOMETRIC REVIEWS (2020):25.